Choose in MED: Edit -> Manage Skins -> New Skin -> check Texture - > click Texture File -> click the button: [...], now you can choose the folder of your file etc.

Hope this helps! It is unbelievable, that it isn't documented in the manual!

http://www.puppenheim.org/
http://www.wuerfels-welt.de
Old Game Tutorial: http://www.puppenheim.org/MITutorial.zip
Free Game Editor: http://puppenheim.org/AlienalsWeihnachtsmann.zip
http://www.puppenheim.org/blender_starting_main_settings.txt